Modeling and Forecasting of Ghana’s Inflation Volatility

Modeling and Forecasting Iranian Inflation with Time Varying BVAR Models

This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allo...

Har Modeling for Realized Volatility Forecasting

modeling and forecasting iranian inflation with time varying bvar models

this paper investigates the forecasting performance of different time-varying bvar models for iranian inflation. forecast accuracy of a bvar model with litterman’s prior compared with a time-varying bvar model (a version introduced by doan et al., 1984); and a modified time-varying bvar model, where the autoregressive coefficients are held constant and only the deterministic components are allo...

Modeling and Forecasting Volatility in Indian Capital Markets

Various volatility estimators and models have been proposed in the literature to measure volatility of asset returns. In this paper, we compare empirical performance of various unconditional volatility estimators and conditional volatility models (GARCH and EGARCH) using time-series data of S&PCNX Nifty, a value-weighted index of 50 stocks traded on the National Stock Exchange (NSE), Mumbai. Th...

Forecasting Volatility